International linkages in Euromark futures markets: information transmission and market integration

Article Abstract:

A model of variance decomposition and impulse response functions from King et al.(1991) was employed to examine the international transfer of information and market integration in transactions involving Euromarket futures. Data from the analysis was gathered from both the Singapore International Monetary Exchange Limited and the London International Financial Futures and Options Exchange. Results reveal the extremely proficient information transmission between the two markets. Trading volumes in the London market are shown to be higher and more efficient than in the Singapore market.

Author: Yiuman Tse
Euromarkets, Interest rate futures, Singapore International Monetary Exchange Ltd.

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Valuation of a European futures option in the BIFFEX market

Article Abstract:

A new pricing formula for European futures options in the Baltic International Freight Futures Exchange market was created based on a pricing method for the Baltic Freight Index (BFI). The new approach is needed as an improvement over existing pricing formulas such as Black (1976) and Black and Scholes (1973) due to the index's irregularity. Pertinent methods in accounting for the BFI are expected to possess mean reversion properties and are constrained downward by the level of dry bulk vessels.

Author: Tvedt, Jostein
Commodity options, Baltic International Freight Futures Exchange

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Options trading when the underlying market is not transparent

Article Abstract:

The differences between the effects of equity trades with delayed publications and those without delays on options market volume are considered using data from the London International Financial Futures and Options Exchange. It is theorized that an equity market's transparency has significant effects on equity trading in stocks. However, results show that no substantial connections between delayed publications, options volume, and the amount of equity trades.

Author: Board, John, Sutcliffe, Charles
Options (Finance), Spot market

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Subjects list: Research, Finance, Futures market, Futures markets, London International Financial Futures Exchange
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